The way to do it is piecemeal. You could just sit down and try reading Roberts's History of the World cover to cover, but you'd probably lose interest. I think it's a better plan to read books about specific topics, even if you don't understand everything the first time through.

Here are the most exciting ones I can think of:

Clark, CivilisationWhite, Medieval Technology and Social ChangeMcEvedy, Penguin Atlases of Ancient and Medieval HistoryLaslett, The World We Have LostBernal, The Extension of ManFranklin, AutobiographyGirouard, Life in the English Country HousePirenne, Mohammed and CharlemagneRunciman, The Fall of ConstantinopleCipolla, Guns, Sails and EmpiresHadas, A History of RomeOman, The Art of War in the Middle AgesVasari, Lives of the ArtistsBovill, The Golden Trade of the MoorsCaesar, Gallic WarsKuhn, The Copernican Revolution